It may have changed a bit, the version we're using is a bit different from @ Andres:
If you do Design->Board Shape->Redefine Board shape you can draw the outline with straight lines (easier if you turn snap on first to get the mm or mils exactly even).
If it's some odd size or has lines that are curved you might be better to use 'define from objects'. Draw lines, arcs etc. (say on a mechanical layer), get them right and make sure the outline is closed (you can adjust the lengths and positions by double clicking and entering the numbers) and then select all of them, and use Define from selected objects.
I usually create a layer called "BOARD_OUTLINE" (I generally use Mechanical Layer 6) and I set the grid to the greatest common factor of the desired board length and width. For example, if I want a 10.5mm x 4.0mm board, the greatest common factor would be 0.5mm. Then on the BOARD_OUTLINE layer I would draw an outline using the snap grid and the HUD to get the right length and width. Once the outline is complete I would use the keyboard shortcut E-S-Y for "Edit --> Select --> All on Layer" and then the shortcut D-S-D for "Design --> Board Shape --> Define from Selected Objects".
If you want to set the length and width just by typing in the numbers, however, the board wizard is the way to go.
You can import a DWG/DXF file to Altium and then 'Redefine board shape' to have a better board sizing and layout. Though you need CAD software to create a DWG/DXF file, it's still good for complex board shapes.